Information Spillover in Indian Agricultural Commodities Market

2021 ◽  
pp. 2319510X2199404
Author(s):  
Sanjay Kumar Singh ◽  
Mukesh Kumar Jain ◽  
Shoeba
Keyword(s):  
Agricultural Sector ◽  
Price Discovery ◽  
Discovery Process ◽  
Agricultural Commodities ◽  
Spot Prices ◽  
Agrarian Economy ◽  
Long Run ◽  
Integration Test ◽  
Information Spillover ◽  
Price Discovery Process

Role of agricultural sector in Indian economy is prominent, as being an agrarian economy and having the second highest population in the world. Thus, the efficiency of this sector is the foremost factor for development and growth of the economy. This article attempts to examine the price discovery relationship of future and spot prices of five agricultural commodities, namely cardamom, crude palm oil, cotton, mentha oil and kapas, during the period 2011–2019. Johansen’s co-integration test, vector error correction model (VECM) and Granger causality block exogeneity test were employed for the study. We found that price discovery process is established for agricultural commodities under consideration. Future prices act as a leader in achieving long-run equilibrium for all commodities except cardamom. Causality was significantly reported for all commodities, as bidirectional causality runs between the prices. The study suggests that Forward Market Commission should be empowered more to control and regulate the market, which will ensure the efficient market situations in these commodities’ market. Attempt was made to evaluate price discovery process in agricultural commodities market during post sub-prime crisis period, which was ignored by majority of researchers.

scholarly journals The Price Discovery Mechanism between Sovereign Bond and Sovereign CDS Market: Studies in Selected Countries

2017 ◽  
Vol 9 (2) ◽  
pp. 270 ◽  
Author(s):  
Ngan Bich Nguyen
Keyword(s):  
Price Discovery ◽  
Empirical Test ◽  
Bond Market ◽  
Discovery Process ◽  
Sovereign Bond ◽  
Leading Role ◽  
Long Run ◽  
Pricing Process ◽  
Short Run ◽  
Price Discovery Process

This paper employs the multivariate VAR model to examine the mechanic work of price discovery process between sovereign CDS market and the associated sovereign bond market in contexts of five European and Asian countries, including Vietnam, Korea, Portugal, Italy and France from the beginning of 2008 to the end of April, 2017. The study accentuates on three aspects: the short-term interaction nexus between the sovereign CDS and the associated-sovereign bond market, the long-term co-movement between them and the discovery of which market plays the leading role in the pricing process. The results evidence the short-run and long-run relationship for the two markets. Particularly, the empirical test results support for the predominant role of the sovereign CDS market in the price discovery process in the bulk of sample entities. This might suggests for the governments to use CDS prices as the future indicator for predicting the volatility of debt markets.

scholarly journals Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

2020 ◽  
Author(s):  
Steffen Volkenand ◽  
Günther Filler ◽  
Martin Odening
Keyword(s):  
Price Discovery ◽  
Futures Contracts ◽  
Price Dynamics ◽  
Discovery Process ◽  
Agricultural Commodities ◽  
Trading Activity ◽  
Agricultural Futures ◽  
Price Discovery Process ◽  
Qualitative Characteristics

The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70 percent of the total trading activity. Differences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without consideration of market reflexivity.

scholarly journals THE IMPACT OF PRICE VARIABILITY ON CASH/FUTURES MARKET RELATIONSHIPS: IMPLICATIONS FOR MARKET EFFICIENCY AND PRICE DISCOVERY

2015 ◽  
Vol 47 (4) ◽  
pp. 539-559 ◽  
Author(s):  
CARLOS ARNADE ◽  
LINWOOD HOFFMAN
Keyword(s):  
Market Efficiency ◽  
Price Discovery ◽  
Discovery Process ◽  
Futures Prices ◽  
Price Variability ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
The Impact ◽  
Price Discovery Process

AbstractThis study investigates the relationship between cash and futures prices of soybeans and soybean meal from 1992 to 2013. Error correction models are estimated for the prices of both commodities. An exogenous measure of price variability is included in both models to determine if variability increases the speed with which cash and futures prices return to their long-run equilibrium relationship. This is used to measure the impact of price variability on short-run market efficiency and the price discovery process. The findings indicate that the level of price variability influences market adjustment rates and the price discovery process.

scholarly journals Price Discovery in Agricultural Markets

2020 ◽  
Vol 23 (1) ◽  
pp. 53-69
Author(s):  
Keshab Shrestha ◽  
Ravichandran Subramaniam ◽  
Thangarajah Thiyagarajan
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Business Leaders ◽  
Agricultural Markets ◽  
Discovery Process ◽  
Agricultural Commodities ◽  
Information Share ◽  
Generalized Information ◽  
Price Discovery Process

In this study, we empirically analyze the contribution of futures markets to the price discovery process for seven agricultural commodities using the generalized information share proposed by Lien and Shrestha (2014) and component share based on the permanent-temporary decomposition proposed by Gonzalo and Granger (1995). We find that most of the price discovery takes place in the futures markets with the exception of cocoa. Our results show that futures markets play an important role in price discovery process. These results are important to academicians, practitioners, policymakers as well as business leaders.

Functional Effectiveness of Commodity Futures Market: A Comparative Assessment of Agricultural and Metal Commodities

Paradigm ◽  
2021 ◽  
Vol 25 (1) ◽  
pp. 42-60
Author(s):  
Bhabani Sankar Rout ◽  
Nupur Moni Das ◽  
K. Chandrasekhara Rao
Keyword(s):  
Price Discovery ◽  
Investment Decision ◽  
Futures Market ◽  
Comparative Assessment ◽  
Discovery Process ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
Vecm Granger Causality ◽  
Price Discovery Process

The study focuses on examining the price discovery process, short run disturbances and hedging mechanism of agricultural and metal commodities futures market for the period January 2010 to December 2018. Contango and normal backwardation have also been taken into deliberation for select commodities which are traded in MCX and NCDEX, India which is a valuable addition to the existing body of literature in derivatives market. Johansen’s co-integration, VECM, Granger causality test and OLS are employed for understanding the price discovery and constant hedging for select commodities. Further, existence contango and normal backwardation have been observed by comparing the spot and futures prices. It has been found that spot market is acting as a leader in the longer period and laggard in short run investors can be benefitted to take short run or long run investment decision.

scholarly journals Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

Risks ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 75
Author(s):  
Steffen Volkenand ◽  
Günther Filler ◽  
Martin Odening
Keyword(s):  
Price Discovery ◽  
Futures Contracts ◽  
Price Dynamics ◽  
Discovery Process ◽  
Agricultural Commodities ◽  
Trading Activity ◽  
Agricultural Futures ◽  
Price Discovery Process ◽  
Qualitative Characteristics

The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70% of the total trading activity. Differences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without the consideration of market reflexivity.

scholarly journals Agriculture Sector Credit and Output Relationship in Nepal

2020 ◽  
pp. 33-53
Author(s):  
Arjun Kumar Dahal ◽  
Khagendra Kumar Thapa
Keyword(s):  
Commercial Banks ◽  
Agricultural Sector ◽  
Least Squares Method ◽  
Manufacturing Sector ◽  
Agriculture Sector ◽  
Industrial Sectors ◽  
Long Run ◽  
Integration Test ◽  
The Government ◽  
The Impact

Purpose: The purpose of this study is to find out the condition of priority of commercial banks to provide loans to the agricultural sector and to find the relationship and impact of agricultural loans to the agricultural GDP of Nepal. Objectives: This study aims to compare the condition of loan disbursements in agricultural and manufacturing sectors. It further aims to compare loan percent with growth and contribution to the GDP of the agricultural and industrial sectors and tries to show the impact of agricultural loans to the agricultural GDP of Nepal. Methods: It was based on a descriptive and analytical research design. Statistical tools standard deviation, correlation, regression, etc. are used and Excel, and EViews software are used for the statistical calculations. Statistical calculations and graphs are simultaneously used to show and compare the condition of variables. Results: Commercial banks give higher priority to the manufacturing sector for loans than the agricultural sector. The Johansen Co-integration test indicates no long-run relationship between loans of commercial banks and agricultural output in Nepal. However, the least-squares method, it indicates that a positive causal relationship between agricultural loans and agricultural growth. Implications: The loans of commercial banks directly stimulate the growth of agriculture but the amount of growth is less noticeable. Thus, it is concluded that the commercial bank's loan alone cannot affect and control the growth of the agricultural sector of the Nepalese economy therefore the government should increase its expenditure on the agricultural sector.

The Incremental Value Relevance of Media Coverage of Earnings Announcements: Evidence from the Trading of Short Sellers

2021 ◽  
Author(s):  
Lynn Rees ◽  
Brady Twedt
Keyword(s):  
Media Coverage ◽  
Price Discovery ◽  
Value Relevance ◽  
Earnings Announcements ◽  
Discovery Process ◽  
Trading Behavior ◽  
Earnings Announcement ◽  
Short Sellers ◽  
The Media ◽  
Price Discovery Process

We investigate the relation between media coverage and the trading behavior of short sellers around earnings announcements. Prior research provides conflicting evidence on the role of the media, with some studies finding that the media can impede the price discovery process. Our evidence indicates that short sellers increase their activity in line with the tone of media coverage around earnings announcements, after controlling for earnings news and other factors that affect relative levels of short selling. Furthermore, we show that information in the media successfully forecasts earnings information in the days leading up to the earnings announcement, and that short sellers trade in a manner consistent with information reflected in media coverage preceding the earnings announcement. Our findings are consistent with information contained in the media having value relevance, and suggest that the media may help to facilitate the price discovery process around the release of earnings.

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